1) An exclamation of surprise, usually at something shocking or scandalous.
2) A way of saying that you did not, even once, in your lifetime to this point, do a given thing.

Mom: "Son, eat your brussels sprouts."
Son: "I don't like brussels sprouts."
Dad: "You know, sport, life is all about trying new things."
Son: "Well I never nailed a bitch indabutt. Maybe I should try that."
Mom: "Well I never! Peter, I told you never to tell our little boy about your little...ummm...fetish, how you like to stick it in my...ummm...posterior."
Dad: "I didn't. But I think you just did."
Son: "Well I never!" (pukes)